| Regression and time series model selection in small samples CM Hurvich, CL Tsai Biometrika 76 (2), 297-307, 1989 | 5201 | 1989 |
| Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion CM Hurvich, JS Simonoff, CL Tsai Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 1998 | 1210 | 1998 |
| The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series CM Hurvich, R Deo, J Brodsky Journal of Time Series Analysis 19 (1), 19-46, 1998 | 445 | 1998 |
| The impact of model selection on inference in linear regression CM Hurvich, CL Tsai The American Statistician 44 (3), 214-217, 1990 | 306 | 1990 |
| Model selection for extended quasi-likelihood models in small samples CM Hurvich, CL Tsai Biometrics, 1077-1084, 1995 | 294 | 1995 |
| Predictive regressions: A reduced-bias estimation method Y Amihud, CM Hurvich Journal of Financial and Quantitative Analysis 39 (4), 813-841, 2004 | 286 | 2004 |
| Bias of the corrected AIC criterion for underfitted regression and time series models CM Hurvich, CL Tsai Biometrika 78 (3), 499-509, 1991 | 275 | 1991 |
| A corrected Akaike information criterion for vector autoregressive model selection CM Hurvich, CL Tsai Journal of time series analysis 14 (3), 271-279, 1993 | 267 | 1993 |
| Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes CM Hurvich, BK Ray Journal of time series analysis 16 (1), 17-41, 1995 | 245 | 1995 |
| Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment R Deo, C Hurvich, Y Lu Journal of Econometrics 131 (1-2), 29-58, 2006 | 204 | 2006 |
| On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models RS Deo, CM Hurvich Econometric Theory 17 (4), 686-710, 2001 | 164 | 2001 |
| Asymptotics for the low‐frequency ordinates of the periodogram of a long‐memory time series CM Hurvich, KI Beltrao Journal of Time Series Analysis 14 (5), 455-472, 1993 | 163 | 1993 |
| Estimating long memory in volatility CM Hurvich, E Moulines, P Soulier Econometrica 73 (4), 1283-1328, 2005 | 142 | 2005 |
| Improved estimators of Kullback–Leibler information for autoregressive model selection in small samples CM Hurvich, R Shumway, CL Tsai Biometrika 77 (4), 709-719, 1990 | 133 | 1990 |
| Multiple-predictor regressions: Hypothesis testing Y Amihud, CM Hurvich, Y Wang The Review of Financial Studies 22 (1), 413-434, 2008 | 119 | 2008 |
| Plug‐in selection of the number of frequencies in regression estimates of the memory parameter of a long‐memory time series CM Hurvich, RS Deo Journal of Time Series Analysis 20 (3), 331-341, 1999 | 119 | 1999 |
| An efficient taper for potentially overdifferenced long‐memory time series CM Hurvich, WW Chen Journal of Time Series Analysis 21 (2), 155-180, 2000 | 109 | 2000 |
| Automatic semiparametric estimation of the memory parameter of a long‐memory time series CM Hurvich, KI Beltrao Journal of Time Series Analysis 15 (3), 285-302, 1994 | 105 | 1994 |
| The local Whittle estimator of long-memory stochastic volatility CM Hurvich, BK Ray Journal of Financial Econometrics 1 (3), 445-470, 2003 | 74 | 2003 |
| Data-driven choice of a spectrum estimate: extending the applicability of cross-validation methods CM Hurvich Journal of the American Statistical Association 80 (392), 933-940, 1985 | 73 | 1985 |
